I recently got Sgt Savage with the "Old Soldiers Never Die" videotape, and since it's an animated work, it most likely belongs to the animated continuity, after the DiC seasons but before Extreme. However, since no specific prior stories are mentioned, and Savage is mentioned as part of G.I. Joe during World War Three, it could fit with comics continuity too (just like Beast Wars can continue from any Transformers G1 continuity).

In that case, where would it fit? Since is in his Talking Commander outfit, and is still alive, my guess is a point between issues #98 ( returns) and #108 ( is captured, and dies in issue #109).

"You were engineered with such potential, Serpentor. But you lack the most important DNA of all... mine."